Carr, Peter; Costa, Doug Optionality as a binary operation. (English) Zbl 1522.91266 Front. Math. Finance 2, No. 3, 313-339 (2023). MSC: 91G20 60E05 60G99 PDFBibTeX XMLCite \textit{P. Carr} and \textit{D. Costa}, Front. Math. Finance 2, No. 3, 313--339 (2023; Zbl 1522.91266) Full Text: DOI
Carr, Peter; Cherubini, Umberto Option pricing generators. (English) Zbl 1520.91399 Front. Math. Finance 2, No. 2, 150-169 (2023). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{P. Carr} and \textit{U. Cherubini}, Front. Math. Finance 2, No. 2, 150--169 (2023; Zbl 1520.91399) Full Text: DOI
Carr, Peter; Wu, Liuren Decomposing long bond returns: a decentralized theory. (English) Zbl 1519.91270 Rev. Finance 27, No. 3, 997-1026 (2023). MSC: 91G30 PDFBibTeX XMLCite \textit{P. Carr} and \textit{L. Wu}, Rev. Finance 27, No. 3, 997--1026 (2023; Zbl 1519.91270) Full Text: DOI
Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew Static replication of European standard dispersion options. (English) Zbl 1491.91139 Quant. Finance 22, No. 5, 799-811 (2022). MSC: 91G20 PDFBibTeX XMLCite \textit{S. Bossu} et al., Quant. Finance 22, No. 5, 799--811 (2022; Zbl 1491.91139) Full Text: DOI
Carr, Peter; Lee, Roger; Lorig, Matthew Robust replication of volatility and hybrid derivatives on jump diffusions. (English) Zbl 1522.91267 Math. Finance 31, No. 4, 1394-1422 (2021). MSC: 91G20 60J74 PDFBibTeX XMLCite \textit{P. Carr} et al., Math. Finance 31, No. 4, 1394--1422 (2021; Zbl 1522.91267) Full Text: DOI arXiv
Carr, Peter; Lee, Roger; Lorig, Matthew Semi-robust replication of barrier-style claims on price and volatility. (English) Zbl 1500.91133 Appl. Math. Finance 28, No. 6, 534-559 (2021). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr} et al., Appl. Math. Finance 28, No. 6, 534--559 (2021; Zbl 1500.91133) Full Text: DOI arXiv
Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew A functional analysis approach to the static replication of European options. (English) Zbl 1477.91052 Quant. Finance 21, No. 4, 637-655 (2021). MSC: 91G20 91G10 PDFBibTeX XMLCite \textit{S. Bossu} et al., Quant. Finance 21, No. 4, 637--655 (2021; Zbl 1477.91052) Full Text: DOI
Carr, Peter; Torricelli, Lorenzo Additive logistic processes in option pricing. (English) Zbl 1475.91352 Finance Stoch. 25, No. 4, 689-724 (2021). Reviewer: George Stoica (Saint John) MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{P. Carr} and \textit{L. Torricelli}, Finance Stoch. 25, No. 4, 689--724 (2021; Zbl 1475.91352) Full Text: DOI
Carr, Peter; Lee, Roger; Lorig, Matthew Pricing variance swaps on time-changed Markov processes. (English) Zbl 1467.91180 SIAM J. Financ. Math. 12, No. 2, 672-689 (2021). MSC: 91G20 60J28 PDFBibTeX XMLCite \textit{P. Carr} et al., SIAM J. Financ. Math. 12, No. 2, 672--689 (2021; Zbl 1467.91180) Full Text: DOI arXiv
Carr, Peter; Figà-Talamanca, Gianna Spiking the volatility punch. (English) Zbl 1466.91329 Appl. Math. Finance 27, No. 6, 495-519 (2020). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{P. Carr} and \textit{G. Figà-Talamanca}, Appl. Math. Finance 27, No. 6, 495--519 (2020; Zbl 1466.91329) Full Text: DOI
Carr, Peter; Zhu, Qiji Jim Convex duality and financial mathematics. (English) Zbl 1416.91003 SpringerBriefs in Mathematics. Cham: Springer (ISBN 978-3-319-92491-5/pbk; 978-3-319-92492-2/ebook). xiii, 152 p. (2018). Reviewer: Gerhard-Wilhelm Weber (Poznań and Ankara) MSC: 91-02 91G99 91G10 91G80 49N15 90C46 90C25 90C15 93E20 91B06 PDFBibTeX XMLCite \textit{P. Carr} and \textit{Q. J. Zhu}, Convex duality and financial mathematics. Cham: Springer (2018; Zbl 1416.91003) Full Text: DOI
Carr, Peter Why is VIX a fear gauge? (English) Zbl 1409.91229 Risk Decis. Anal. 6, No. 2, 179-185 (2017). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr}, Risk Decis. Anal. 6, No. 2, 179--185 (2017; Zbl 1409.91229) Full Text: DOI
Carr, Peter; Nadtochiy, Sergey Local variance gamma and explicit calibration to option prices. (English) Zbl 1422.91685 Math. Finance 27, No. 1, 151-193 (2017). MSC: 91G20 60G44 35Q91 PDFBibTeX XMLCite \textit{P. Carr} and \textit{S. Nadtochiy}, Math. Finance 27, No. 1, 151--193 (2017; Zbl 1422.91685) Full Text: DOI arXiv
Carr, Peter; Madan, Dilip B.; Melamed, Michael; Schoutens, Wim Hedging insurance books. (English) Zbl 1371.91175 Insur. Math. Econ. 70, 364-372 (2016). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{P. Carr} et al., Insur. Math. Econ. 70, 364--372 (2016; Zbl 1371.91175) Full Text: DOI
Carr, Peter; Fisher, Travis; Ruf, Johannes On the hedging of options on exploding exchange rates. (English) Zbl 1314.91205 Finance Stoch. 18, No. 1, 115-144 (2014). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60G48 60H05 60H30 PDFBibTeX XMLCite \textit{P. Carr} et al., Finance Stoch. 18, No. 1, 115--144 (2014; Zbl 1314.91205) Full Text: DOI arXiv
Carr, Peter; Fisher, Travis; Ruf, Johannes Why are quadratic normal volatility models analytically tractable? (English) Zbl 1312.91086 SIAM J. Financ. Math. 4, 185-202 (2013). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G20 91G99 60H30 60J70 91B70 PDFBibTeX XMLCite \textit{P. Carr} et al., SIAM J. Financ. Math. 4, 185--202 (2013; Zbl 1312.91086) Full Text: DOI arXiv
Carr, Peter; Lee, Roger Variation and share-weighted variation swaps on time-changed Lévy processes. (English) Zbl 1275.91129 Finance Stoch. 17, No. 4, 685-716 (2013). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{P. Carr} and \textit{R. Lee}, Finance Stoch. 17, No. 4, 685--716 (2013; Zbl 1275.91129) Full Text: DOI
Carr, Peter; Madan, Dilip B. Factor models for option pricing. (English) Zbl 1282.91324 Asia-Pac. Financ. Mark. 19, No. 4, 319-329 (2012). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr} and \textit{D. B. Madan}, Asia-Pac. Financ. Mark. 19, No. 4, 319--329 (2012; Zbl 1282.91324) Full Text: DOI
Carr, Peter; Cousot, Laurent Explicit constructions of martingales calibrated to given implied volatility smiles. (English) Zbl 1260.60079 SIAM J. Financ. Math. 3, 182-214 (2012). MSC: 60G42 60J05 60J35 60J75 91G80 91B70 PDFBibTeX XMLCite \textit{P. Carr} and \textit{L. Cousot}, SIAM J. Financ. Math. 3, 182--214 (2012; Zbl 1260.60079) Full Text: DOI
Itkin, Andrey; Carr, Peter Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models. (English) Zbl 1254.91747 Comput. Econ. 40, No. 1, 63-104 (2012). MSC: 91G60 60J75 65L12 65L20 34B27 65T50 35M99 PDFBibTeX XMLCite \textit{A. Itkin} and \textit{P. Carr}, Comput. Econ. 40, No. 1, 63--104 (2012; Zbl 1254.91747) Full Text: DOI arXiv
Carr, Peter; Lee, Roger; Wu, Liuren Variance swaps on time-changed Lévy processes. (English) Zbl 1266.60085 Finance Stoch. 16, No. 2, 335-355 (2012). Reviewer: Almut Veraart (London) MSC: 60G51 91G20 60H30 PDFBibTeX XMLCite \textit{P. Carr} et al., Finance Stoch. 16, No. 2, 335--355 (2012; Zbl 1266.60085) Full Text: DOI
Carr, Peter; Geman, Helyette; Madan, Dilip B.; Yor, Marc Options on realized variance and convex orders. (English) Zbl 1277.91164 Quant. Finance 11, No. 11, 1685-1694 (2011). MSC: 91G20 91B70 91B84 60H30 60G51 PDFBibTeX XMLCite \textit{P. Carr} et al., Quant. Finance 11, No. 11, 1685--1694 (2011; Zbl 1277.91164) Full Text: DOI Link
Itkin, Andrey; Carr, Peter Jump without tears: a new splitting technology for barrier options. (English) Zbl 1267.91072 Int. J. Numer. Anal. Model. 8, No. 4, 667-704 (2011). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{A. Itkin} and \textit{P. Carr}, Int. J. Numer. Anal. Model. 8, No. 4, 667--704 (2011; Zbl 1267.91072) Full Text: Link
Carr, Peter; Nadtochiy, Sergey Static hedging under time-homogeneous diffusions. (English) Zbl 1247.91182 SIAM J. Financ. Math. 2, 794-838 (2011). Reviewer: Weiping Li (Stillwater) MSC: 91G20 45Q05 60J60 PDFBibTeX XMLCite \textit{P. Carr} and \textit{S. Nadtochiy}, SIAM J. Financ. Math. 2, 794--838 (2011; Zbl 1247.91182) Full Text: DOI Link
Carr, Peter; Zhang, Hongzhong; Hadjiliadis, Olympia Maximum drawdown insurance. (English) Zbl 1233.91115 Int. J. Theor. Appl. Finance 14, No. 8, 1195-1230 (2011). MSC: 91B25 91G20 91B30 PDFBibTeX XMLCite \textit{P. Carr} et al., Int. J. Theor. Appl. Finance 14, No. 8, 1195--1230 (2011; Zbl 1233.91115) Full Text: DOI
Carr, Peter Semi-static hedging of barrier options under Poisson jumps. (English) Zbl 1229.91299 Int. J. Theor. Appl. Finance 14, No. 7, 1091-1111 (2011). MSC: 91G20 60J75 PDFBibTeX XMLCite \textit{P. Carr}, Int. J. Theor. Appl. Finance 14, No. 7, 1091--1111 (2011; Zbl 1229.91299) Full Text: DOI
Carr, Peter; Cousot, Laurent A PDE approach to jump-diffusions. (English) Zbl 1232.91652 Quant. Finance 11, No. 1, 33-52 (2011). MSC: 91G20 60J75 PDFBibTeX XMLCite \textit{P. Carr} and \textit{L. Cousot}, Quant. Finance 11, No. 1, 33--52 (2011; Zbl 1232.91652) Full Text: DOI
Carr, Peter; Laurence, Peter Multi-asset stochastic local variance contracts. (English) Zbl 1229.91301 Math. Finance 21, No. 1, 21-52 (2011). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr} and \textit{P. Laurence}, Math. Finance 21, No. 1, 21--52 (2011; Zbl 1229.91301) Full Text: DOI
Carr, Peter; Lee, Roger Hedging variance options on continuous semimartingales. (English) Zbl 1224.91149 Finance Stoch. 14, No. 2, 179-207 (2010). Reviewer: Georgij M. Shevchenko (Kyïv) MSC: 91G20 60G48 PDFBibTeX XMLCite \textit{P. Carr} and \textit{R. Lee}, Finance Stoch. 14, No. 2, 179--207 (2010; Zbl 1224.91149) Full Text: DOI
Carr, Peter; Crosby, John A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options. (English) Zbl 1229.91300 Quant. Finance 10, No. 10, 1115-1136 (2010). Reviewer: Elisa Alòs (Barcelona) MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{P. Carr} and \textit{J. Crosby}, Quant. Finance 10, No. 10, 1115--1136 (2010; Zbl 1229.91300) Full Text: DOI
Mendoza-Arriaga, Rafael; Carr, Peter; Linetsky, Vadim Time-changed Markov processes in unified credit-equity modeling. (English) Zbl 1232.91692 Math. Finance 20, No. 4, 527-569 (2010). MSC: 91G40 91G20 60J70 PDFBibTeX XMLCite \textit{R. Mendoza-Arriaga} et al., Math. Finance 20, No. 4, 527--569 (2010; Zbl 1232.91692) Full Text: DOI
Itkin, Andrey; Carr, Peter Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. (English) Zbl 1208.91146 Rev. Deriv. Res. 13, No. 2, 141-176 (2010). Reviewer: Pedro A. Morettin (São Paulo) MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{A. Itkin} and \textit{P. Carr}, Rev. Deriv. Res. 13, No. 2, 141--176 (2010; Zbl 1208.91146) Full Text: DOI
Carr, Peter; Madan, Dilip B. Local volatility enhanced by a jump to default. (English) Zbl 1197.91183 SIAM J. Financ. Math. 1, 2-15 (2010). MSC: 91G20 60G99 91B70 PDFBibTeX XMLCite \textit{P. Carr} and \textit{D. B. Madan}, SIAM J. Financ. Math. 1, 2--15 (2010; Zbl 1197.91183) Full Text: DOI Link
Carr, Peter; Lee, Roger Put-call symmetry: extensions and applications. (English) Zbl 1184.91198 Math. Finance 19, No. 4, 523-560 (2009). Reviewer: Nikolaos Halidias (Athens) MSC: 91G20 60H20 PDFBibTeX XMLCite \textit{P. Carr} and \textit{R. Lee}, Math. Finance 19, No. 4, 523--560 (2009; Zbl 1184.91198) Full Text: DOI
Carr, Peter; Madan, Dilip Saddlepoint methods for option pricing. (English) Zbl 1178.91192 J. Comput. Finance 13, No. 1, 49-61 (2009). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr} and \textit{D. Madan}, J. Comput. Finance 13, No. 1, 49--61 (2009; Zbl 1178.91192) Full Text: DOI
Carr, Peter; Schoutens, Wim Hedging under the Heston model with jump-to-default. (English) Zbl 1153.91469 Int. J. Theor. Appl. Finance 11, No. 4, 403-414 (2008). MSC: 91B28 60J75 PDFBibTeX XMLCite \textit{P. Carr} and \textit{W. Schoutens}, Int. J. Theor. Appl. Finance 11, No. 4, 403--414 (2008; Zbl 1153.91469) Full Text: DOI
Carr, Peter; Hirsa, Ali Forward evolution equations for knock-out options. (English) Zbl 1157.91355 Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 195-217 (2007). MSC: 91G20 60H10 60H30 35R60 PDFBibTeX XMLCite \textit{P. Carr} and \textit{A. Hirsa}, in: Advances in mathematical finance. Papers presented at the `Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan', College Park, MD, USA, September 29 -- October 1, 2006. Boston, MA: Birkhäuser. 195--217 (2007; Zbl 1157.91355)
Carr, Peter; Sun, Jian A new approach for option pricing under stochastic volatility. (English) Zbl 1140.91353 Rev. Deriv. Res. 10, No. 2, 87-150 (2007). MSC: 91B24 91B70 PDFBibTeX XMLCite \textit{P. Carr} and \textit{J. Sun}, Rev. Deriv. Res. 10, No. 2, 87--150 (2007; Zbl 1140.91353) Full Text: DOI
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc Self-decomposability and option pricing. (English) Zbl 1278.91157 Math. Finance 17, No. 1, 31-57 (2007). MSC: 91G20 60H30 60G18 PDFBibTeX XMLCite \textit{P. Carr} et al., Math. Finance 17, No. 1, 31--57 (2007; Zbl 1278.91157) Full Text: DOI
Carr, Peter; Linetsky, Vadim A jump to default extended CEV model: an application of Bessel processes. (English) Zbl 1101.60057 Finance Stoch. 10, No. 3, 303-330 (2006). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60J35 60J60 60J70 91G80 28A99 91G40 PDFBibTeX XMLCite \textit{P. Carr} and \textit{V. Linetsky}, Finance Stoch. 10, No. 3, 303--330 (2006; Zbl 1101.60057) Full Text: DOI
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc Pricing options on realized variance. (English) Zbl 1096.91022 Finance Stoch. 9, No. 4, 453-475 (2005). Reviewer: Yuliya Mishura (Kyïv) MSC: 91G20 60G18 60G51 60G52 PDFBibTeX XMLCite \textit{P. Carr} et al., Finance Stoch. 9, No. 4, 453--475 (2005; Zbl 1096.91022) Full Text: DOI
Carr, Peter; Javaheri, Alireza The forward PDE for European options on stocks with fixed fractional jumps. (English) Zbl 1100.91038 Int. J. Theor. Appl. Finance 8, No. 2, 239-253 (2005). MSC: 91G60 91G20 35Q91 35R60 60H10 60H30 60J75 91G40 PDFBibTeX XMLCite \textit{P. Carr} and \textit{A. Javaheri}, Int. J. Theor. Appl. Finance 8, No. 2, 239--253 (2005; Zbl 1100.91038) Full Text: DOI
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc From local volatility to local Lévy models. (English) Zbl 1405.91600 Quant. Finance 4, No. 5, 581-588 (2004). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{P. Carr} et al., Quant. Finance 4, No. 5, 581--588 (2004; Zbl 1405.91600) Full Text: DOI Link
Carr, Peter (ed.) Derivatives pricing. The classic collection. (English) Zbl 1403.91009 London: Risk Books (ISBN 978-1-904339-33-5/hbk). xxvii, 535 p. (2004). Reviewer: Martynas Manstavičius (Vilnius) MSC: 91-06 91G20 91G30 91G40 91B30 PDFBibTeX XMLCite \textit{P. Carr} (ed.), Derivatives pricing. The classic collection. London: Risk Books (2004; Zbl 1403.91009)
Carr, P.; Schröder, M. Bessel processes, the integral of geometric Brownian motion, and Asian options. (English) Zbl 1056.91026 Theory Probab. Appl. 48, No. 3, 400-425 (2003) and Teor. Veroyatn. Primen. 48, No. 3, 503-533 (2003). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B28 60G15 44A10 PDFBibTeX XMLCite \textit{P. Carr} and \textit{M. Schröder}, Theory Probab. Appl. 48, No. 3, 400--425 (2003; Zbl 1056.91026) Full Text: DOI arXiv
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc Stochastic volatility for Lévy processes. (English) Zbl 1092.91022 Math. Finance 13, No. 3, 345-382 (2003). Reviewer: Klaus Schürger (Bonn) MSC: 91G30 60G42 91B24 60G44 60G51 PDFBibTeX XMLCite \textit{P. Carr} et al., Math. Finance 13, No. 3, 345--382 (2003; Zbl 1092.91022) Full Text: DOI
Carr, P.; Madan, D. Optimal positioning in derivative securities. (English) Zbl 1405.91599 Quant. Finance 1, No. 1, 19-37 (2001). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr} and \textit{D. Madan}, Quant. Finance 1, No. 1, 19--37 (2001; Zbl 1405.91599) Full Text: DOI
Carr, Peter; Madan, Dilip Towards a theory of volatility trading. (English) Zbl 0990.91037 Jouini, E. (ed.) et al., Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. Handbooks in Mathematical Finance. 458-476 (2001). MSC: 91B60 PDFBibTeX XMLCite \textit{P. Carr} and \textit{D. Madan}, in: Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. 458--476 (2001; Zbl 0990.91037)
Carr, Peter; Yang, Guang Simulating Bermudan interest rate derivatives. (English) Zbl 0976.91023 Avellaneda, Marco (ed.), Quantitative analysis in financial markets. Collected papers of the New York University mathematical finance seminar. Vol. II. Singapore: World Scientific. 295-316 (2001). MSC: 91B26 PDFBibTeX XMLCite \textit{P. Carr} and \textit{G. Yang}, in: Quantitative analysis in financial markets. Collected papers of the New York University Mathematical Finance Seminar. Vol. II. Singapore: World Scientific. 295--316 (2001; Zbl 0976.91023)
Carr, Peter; Madan, Dilip Determining volatility surfaces and option values from an implied volatility smile. (English) Zbl 1012.91017 Avellaneda, Marco (ed.), Quantitative analysis in financial markets. Collected papers of the New York University mathematical finance seminar. Vol. II. Singapore: World Scientific. 163-191 (2001). Reviewer: Oleksandr Kukush (Kiev) MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr} and \textit{D. Madan}, in: Quantitative analysis in financial markets. Collected papers of the New York University Mathematical Finance Seminar. Vol. II. Singapore: World Scientific. 163--191 (2001; Zbl 1012.91017)
Carr, Peter; Linetsky, Vadim The valuation of executive stock options in an intensity-based framework. (English) Zbl 1035.91029 Eur. Finance Rev. 4, No. 3, 211-230 (2000). Reviewer: Gong Guanglu (Beijing) MSC: 91B28 91B24 PDFBibTeX XMLCite \textit{P. Carr} and \textit{V. Linetsky}, Eur. Finance Rev. 4, No. 3, 211--230 (2000; Zbl 1035.91029) Full Text: DOI
Carr, Peter Randomization and the American put. (English) Zbl 1386.91134 Rev. Financ. Stud. 11, No. 3, 597-626 (1998). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr}, Rev. Financ. Stud. 11, No. 3, 597--626 (1998; Zbl 1386.91134) Full Text: DOI Link
Madan, Dilip B.; Carr, Peter P.; Chang, Eric C. The variance gamma process and option pricing. (English) Zbl 0937.91052 Eur. Finance Rev. 2, No. 1, 79-105 (1998). MSC: 91B24 91B82 PDFBibTeX XMLCite \textit{D. B. Madan} et al., Eur. Finance Rev. 2, No. 1, 79--105 (1998; Zbl 0937.91052) Full Text: DOI
AitSahlia, F.; Carr, P. American options: A comparison of numerical methods. (English) Zbl 0898.90028 Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 67-87 (1997). MSC: 91B24 91B28 PDFBibTeX XMLCite \textit{F. AitSahlia} and \textit{P. Carr}, in: Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 67--87 (1997; Zbl 0898.90028)
Carr, P. Two extensions to barrier option valuation. (English) Zbl 1466.91328 Appl. Math. Finance 2, No. 3, 173-209 (1995). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr}, Appl. Math. Finance 2, No. 3, 173--209 (1995; Zbl 1466.91328) Full Text: DOI
Carr, Peter; Jarrow, Robert; Myneni, Ravi Alternative characterizations of American put options. (English) Zbl 0900.90004 Math. Finance 2, No. 2, 87-106 (1992). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr} et al., Math. Finance 2, No. 2, 87--106 (1992; Zbl 0900.90004) Full Text: DOI